A new non-parametric method to estimate a decision maker's coefficient of absolute risk aversion from observed economic
behaviour is explained. The method uses the expected value-variance (E-V) framework and quadratic programming. An
empirical illustration is given using Norwegian farm-level data. © 2002 Elsevier Science B.V. All rights reserved.
Title
Non-parametric estimation of decision makers' risk aversion
Issue Date
2002-05
Publication Type
Journal Article
Record Identifier
https://ageconsearch.umn.edu/record/177722
PURL Identifier
http://purl.umn.edu/177722
Language
English
Published in
Agricultural Economics: The Journal of the International Association of Agricultural Economists
Volume
27
Issue
1
Page Range
75 - 83
Total Pages
10
JEL Codes
Q12
D81